The Annals of Statistics

Improving the fully sequential sampling scheme of Anscombe-Chow-Robbins

Wei Liu

Full-text: Open access

Abstract

A new sequential sampling scheme is proposed in which, after an initial batch sample, sampling is continued in batches of data-dependent sizes (at most k such batches), and then one-at-a-time with a data-dependent stopping rule. This new scheme requires about the same sample size as the fully sequential Anscombe-Chow-Robbins (ACR) sampling scheme but substantially fewer sampling operations. The problem of constructing fixed-width confidence intervals for the mean of a normal population with unknown variance is used as an illustration.

Article information

Source
Ann. Statist., Volume 25, Number 5 (1997), 2164-2171.

Dates
First available in Project Euclid: 20 November 2003

Permanent link to this document
https://projecteuclid.org/euclid.aos/1069362392

Digital Object Identifier
doi:10.1214/aos/1069362392

Mathematical Reviews number (MathSciNet)
MR1474088

Zentralblatt MATH identifier
0942.62091

Subjects
Primary: 62L12: Sequential estimation
Secondary: 62E99: None of the above, but in this section

Keywords
Confidence interval sequential sampling stopping time

Citation

Liu, Wei. Improving the fully sequential sampling scheme of Anscombe-Chow-Robbins. Ann. Statist. 25 (1997), no. 5, 2164--2171. doi:10.1214/aos/1069362392. https://projecteuclid.org/euclid.aos/1069362392


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